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Long- and short-term cryptocurrency volatility components : a GARCH-MIDAS analysis

Conrad, Christian; Custovic, Anessa; Ghysels, Eric - In: Journal of risk and financial management : JRFM 11 (2018) 2

We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500...

Persistent link: https://www.econbiz.de/10011856965

GARCH modelling of cryptocurrencies

Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15

cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts …

Persistent link: https://www.econbiz.de/10011854856

Fantastic beasts : blockchain based banking

Daluwathumullagamage, Dulani Jayasuriya; Sims, Alexandra - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-43

Blockchain is one of the primary digital technologies utilised in the finance industry with huge future potential. This study conducts a systematic literature review of a final sample of 407 prior literature from an initial set of 1979 records for the sample period of 2013–2020 with regard to...

Persistent link: https://www.econbiz.de/10012520913

How to design cryptocurrency value and how to secure its sustainability in the market

Yoo, Soonduck - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12

The purpose of this study is to analyze the contents of cryptocurrency value design based on adaptability to the … current market. It is also intended to provide a method of issuing cryptocurrency before its creation, and an operation method … afterwards. Activities before the creation of cryptocurrency must determine desirable behaviors and rewards to create value, and …

Persistent link: https://www.econbiz.de/10012534572

Blockchain-based ICOs : pure hype or the dawn of a new era of startup financing?

Ante, Lennart; Sandner, Philipp; Fiedler, Ingo - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-19

This study explores the determinants of initial coin offering (ICO) success, where success is defined as the amount of capital a project could raise. ICOs are a tool for startups in the blockchain ecosystem to raise early capital with relative ease. The market for ICOs has grown at a rapid pace...

Persistent link: https://www.econbiz.de/10011960552

Alternative assets and cryptocurrencies

Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 1/7, pp. 1-3

Alternative assets, defined by their low correlation with classical financial assets, have become an important investment vehicle in times of negative interest rates and in the aftermath of the global economic and financial crisis. Hedge funds increasingly invest in physical assets such as fine...

Persistent link: https://www.econbiz.de/10012173264

Does the hashrate affect the bitcoin price?

Fantazzini, Dean; Kolodin, Nikita - In: Journal of risk and financial management : JRFM 13 (2020) 11/263, pp. 1-29

This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this purpose, we propose a methodology based on...

Persistent link: https://www.econbiz.de/10012389835

A particle swarm optimization copula-based approach with application to cryptocurrency portfolio optimisation

Mba, Jules Clément; Mai, Magdaline Mbong - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-14

Blockchain and cryptocurrency are gradually going mainstream with new cryptocurrencies introduced every single day. The …

Persistent link: https://www.econbiz.de/10013369573

Sustainable versus conventional cryptocurrencies in the face of cryptocurrency uncertainty indices : an analysis across time and scales

UI Haq, Inzamam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16

Are conventional and sustainable cryptocurrencies effective hedging instruments for high cryptocurrency uncertainty …, Powerledger, Stellar, Ripple) cryptocurrencies and two cryptocurrency uncertainty indices (UCRY price and UCRY policy). Using … cryptocurrencies show consistent positive and identical co-movements with both cryptocurrency uncertainty indices at the short …

Persistent link: https://www.econbiz.de/10013471441

Optimizing portfolio risk of cryptocurrencies using data-driven risk measures

Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16

medium of exchange. In contrast to physical money, cryptocurrency payments exist purely as digital entries on an online … ledger called blockchain that describe specific transactions. Due to the high volume and high frequency of cryptocurrency …

Persistent link: https://www.econbiz.de/10013471488